Explorando por Autor "Soenen, Luc"

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Equity Market Risk Premium and Global Integration
(Pontificia Universidad Católica del Perú. CENTRUM, 2009) Johnson, Robert; Soenen, Luc
The equity market risk premium remains one of the most debated issues in corporate finance. Monthly returns for 19 developed equity markets and 16 emerging equity markets between 1970 and 2006 aided in examining the extent of integration of these markets with the U.S. stock market and the Morgan Stanley Capital International (MSCI) World Index. Geweke measures of feedback indicate that although both developed and emerging markets show a slight and gradual increase in integration, emerging markets reflect significant segmentation from the U.S. stock market and the world market index. Greater stock market integration is associated with a more favorable economic and political climate toward business. Additional risk premiums relative to the intertemporal capital asset pricing model (ICAPM) arise because of segmentation of emerging markets from the world. Valuing business investments in countries with at least partially segmented equity markets requires an adjusted capital asset pricing model (CAPM).
Acceso Abierto
Spillover Effects Among Gold, Stocks, and Bonds
(Pontificia Universidad Católica del Perú. CENTRUM, 2010) Sumner, Steven; Johnson, Robert; Soenen, Luc
In this paper an attempt is made to document the interdependence among stocks, bonds and gold. Gold is an important asset class and has often been seen as a safe haven and counter-cyclical investment vehicle. We present an extension of the work done by Diebold and Yilmaz (2009) using a spillover index methodology to examine whether gold returns and volatilities can predict U.S. stock and bond market movements or vice versa. For the sample period from January 1970 until April 2009, return spillovers appear muted. However, there is some evidence of volatility spillovers of which much is attributable to a spillover from innovations in stocks to bond return volatility. Spillovers in terms of returns are higher during the early 1980s, mid-1990s and the most recent financial crisis. Volatility spillovers have been very elevated in the recent financial crisis as well as late 1970s and early 1990s. The lack of any substantial relationship between gold and stocks and gold and bonds raises the question whether gold price movements can be used as a predictor for stocks and bond prices.